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    Sampling of Diffusion Processes for Real-time Estimation

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    TR_2004-15.pdf (10.08Kb)
    No. of downloads: 500

    Date
    2004
    Author
    Rabi, Maben
    Baras, John S.
    Advisor
    Baras, John S.
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    Abstract
    This paper addresses the causal sampling of observations of a diffusion process that results in a good quality continuous estimator based upon these samples. The optimal sampling scheme with a fixed number of samples is found by solving an optimal (multiple) stopping problem. This is solved explicitly in a special case. A class of threshold approximations is also described.
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    http://hdl.handle.net/1903/6453
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    • Institute for Systems Research Technical Reports

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